The news comes as the Republican National Convention is to open in St Paul, Minnesota.
“Bristol and the young man she will marry are going to realise very quickly the difficulties of raising a child, which is why they will have the love and support of our entire family,” the statement added.
Steve Schmidt, a spokesman for McCain, said the Arizona senator considered the issue to be “a private family matter”.
“As parents [the Palins] love their daughter unconditionally and are going to support their daughter. Life happens,” he said.
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Palin, who opposes gun control and favours the death penalty, was announced on Friday as McCain’s vice-presidential choice.
However Democrats and the Obama campaign have criticised the move, saying Palin, 44, is inexperienced.
Officials in McCain’s election team said they were aware of Palin’s daughter’s pregnancy when they decided to pick her as the Arizona senator’s running mate.
Both McCain’s campaign and the Palins have asked the US and global media to respect the couple’s privacy.
McCain officials told Reuters news agency on Monday that the news was being released to rebut “lies” circulating on the internet about Palin’s children.